ANALISIS PERANAN EMAS DAN OBLIGASI PEMERINTAH SEBAGAI SAFE HAVEN PERIODE 2014—2018
DOI:
https://doi.org/10.25170/balance.v16i2.1624Kata Kunci:
Financial statement fraud, financial target, financial stability, external pressure, rationalizationAbstrak
The purpose of this research to identify the role of gold and government bonds role as safe haven in Indonesian capital market during 2014-2018. In this study we analyze the influence of stock on gold and government return on bear market conditions, using quantile regression. The quantile regression method was used to analyze the data. The result if this study indicated that gold and government bonds cannot play a safe haven consistently throughout the study period due to political conditions, government policies and psychological factors (doubt) from investors. For the following research, researchers should examine more deeply about the factors that influence the loss of the role of safe haven in both investment instruments.
Referensi
Baur, D. G. & Glover, K. J. (2012). The destruction of a safe haven asset? Applied Finance Letters, 1(1), 8-15.
Baur, D. G. & McDermott, T. K. (2009). Is gold a safe haven?: International evidence. Institute for Internasional Integration Studies.
Baur, D. G. & McDernott T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34, 1886-1898.
Baur, D. G. & McDernott T. K. (2012). Safe haven assets and investor behavior under uncertainty. Australia: University of Technology Sydney Business School.
Boddie, Z., Kane. A., & Marcus, A. J. (2014). Investment 10th edition. New York: McGraw Hill Education.
Chiang, S., Lin, C., & Huang, C. (2013). The relationships amongs stocks, bonds and gold: Safe haven, hedge or neither? International Conference on Technology Innovation and Industrial Management.
Christiansen, C. & Ranaldo, A. (2007). Realized bond - stock correlation: Macroeconomic announcement effects. The Journal of Futures Market, 27 (5), 439-469.
Coudert, V. & Feirgold, H. R. (2011). Gold and financial assets: Are there any safa havens in bear market? Economic Buletin, 31(2), 1613-1622.
Flavin, T. J., Morkey, C.R., & Panopoulou E. (2014). Identifying safe haven assets for equity investors through an analysis of the stability of stock transmission. Journal of International Financial, Market, Institution & Money, 3,137-154.
Hood, M., & Malik, F. (2013). Is gold the best hedge and safe haven under stock changing volatility? Review of Financial Economics, 22, 47–52.
Longstaff, F.A. (2002). The Flight-to-Liquidity Premium in U.S. Treasury Bonds Prices. NBER Working Paper No. 9312. National Bureau of Economics Research. Massachuset Avenue.
Maslow, S., & B. M. Roehner. (2004). The conundrum of stock versus bond prices. Physica A 335 (12). 164-182.
Robiyanto, R. (2018). Gold vs bonds: What is the safe haven for indonesian and malysian capital market? Gajah Mada International Journal of Business, 20(3), 277-302.
Ross, S. (2016). Coorporate finance. New York: McGraw Hill Education.
Shahzad, S. J. H., Raza, M., Shahbaz, M., & Ali A. (2017). Dependence of stock markets and bond under bullish and bearish market assets. Resources Policy, 52, 308-319.
Spall, J. (2011). How to profit in gold. New York: McGraw Hill Education.
Vayanos, D. (2004). Flight to Quality, Flight to Liquidity, and the Pricing of Risk. NBER Working Paper No. 9312. National Bureau of Economics Research Massachuset Avenue.
Baur, D. G. & McDermott, T. K. (2009). Is gold a safe haven?: International evidence. Institute for Internasional Integration Studies.
Baur, D. G. & McDernott T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34, 1886-1898.
Baur, D. G. & McDernott T. K. (2012). Safe haven assets and investor behavior under uncertainty. Australia: University of Technology Sydney Business School.
Boddie, Z., Kane. A., & Marcus, A. J. (2014). Investment 10th edition. New York: McGraw Hill Education.
Chiang, S., Lin, C., & Huang, C. (2013). The relationships amongs stocks, bonds and gold: Safe haven, hedge or neither? International Conference on Technology Innovation and Industrial Management.
Christiansen, C. & Ranaldo, A. (2007). Realized bond - stock correlation: Macroeconomic announcement effects. The Journal of Futures Market, 27 (5), 439-469.
Coudert, V. & Feirgold, H. R. (2011). Gold and financial assets: Are there any safa havens in bear market? Economic Buletin, 31(2), 1613-1622.
Flavin, T. J., Morkey, C.R., & Panopoulou E. (2014). Identifying safe haven assets for equity investors through an analysis of the stability of stock transmission. Journal of International Financial, Market, Institution & Money, 3,137-154.
Hood, M., & Malik, F. (2013). Is gold the best hedge and safe haven under stock changing volatility? Review of Financial Economics, 22, 47–52.
Longstaff, F.A. (2002). The Flight-to-Liquidity Premium in U.S. Treasury Bonds Prices. NBER Working Paper No. 9312. National Bureau of Economics Research. Massachuset Avenue.
Maslow, S., & B. M. Roehner. (2004). The conundrum of stock versus bond prices. Physica A 335 (12). 164-182.
Robiyanto, R. (2018). Gold vs bonds: What is the safe haven for indonesian and malysian capital market? Gajah Mada International Journal of Business, 20(3), 277-302.
Ross, S. (2016). Coorporate finance. New York: McGraw Hill Education.
Shahzad, S. J. H., Raza, M., Shahbaz, M., & Ali A. (2017). Dependence of stock markets and bond under bullish and bearish market assets. Resources Policy, 52, 308-319.
Spall, J. (2011). How to profit in gold. New York: McGraw Hill Education.
Vayanos, D. (2004). Flight to Quality, Flight to Liquidity, and the Pricing of Risk. NBER Working Paper No. 9312. National Bureau of Economics Research Massachuset Avenue.
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2020-08-18
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